Modeling the time-varying skewness via decomposition for out-of-sample forecast
Year of publication: |
2011-08-30
|
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Authors: | Liu, Xiaochun |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Time-varying skewness | Dynamic nonlinear dependence | Copulas | Out-of-sample forecast | Sources of forecasting performance |
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